Jensen, Anders Tolver; Lange, Theis - School of Economics and Management, University of Aarhus - 2009
We address the IGARCH puzzle by which we understand the fact that a GARCH(1,1) model fitted by quasi maximum likelihood … data is generated by certain types of continuous time stochastic volatility models, but fitted to a GARCH(1,1) model one …
CREATES Research Paper 2009-6
On IGARCH and convergence of the QMLE for
misspecified GARCH models …